Adjusting for bias in long horizon regressions using R

DOI10.1016/bs.host.2019.01.006zbMath1440.62339OpenAlexW2920913769MaRDI QIDQ5116809

Kenneth D. West, Zifeng Zhao

Publication date: 18 August 2020

Published in: Handbook of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/bs.host.2019.01.006

zbMATH Keywords

bias reductionleast squares biasVAR modelsmall sample biasdirect forecastmultistep forecast

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Uses Software

• R